| 考虑存贷利差的最优消费与投资组合问题 |
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| 引用本文： | 王秋媛,杨瑞成,刘坤会,王军.考虑存贷利差的最优消费与投资组合问题[J].系统工程学报,2010,25(1). |
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| 作者姓名： | 王秋媛 杨瑞成 刘坤会 王军 |
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| 作者单位： | 1. 北京交通大学金融数学与金融工程研究所,北京,100044
2. 大连理工大学管理学院博士后流动站,辽宁,大连116024 |
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| 基金项目： | 国家自然科学基金资助项目，中国博士后基金资助项目 |
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| 摘 要： | 利用贝尔曼动态规划原理和非线性规划原理,研究了在具有存贷利差的条件下,投资者整个生命周期内的消费效用最大化问题.给出了不同条件下最优消费与投资组合的计算公式及相应最大消费效用期望值,同时解释其经济意义;讨论了不同情形下存贷利差对最优消费的影响,求出了投资者在某一时刻财富与消费的关系,并给出直观图例.
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| 关 键 词： | 存贷利差 贝尔曼动态规划原理 非线性规划原理 最优消费与投资组合问题 |
Optimal strategies on consumption and portfolio problem with interest spreads of deposit and loan |
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| WANG Qiu-yuan,YANG Rui-cheng,LIU Kun-hui,WANG Jun.Optimal strategies on consumption and portfolio problem with interest spreads of deposit and loan[J].Journal of Systems Engineering,2010,25(1). |
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| Authors: | WANG Qiu-yuan YANG Rui-cheng LIU Kun-hui WANG Jun |
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| Institution: | WANG Qiu-yuan1,YANG Rui-cheng2,LIU Kun-hui1,WANG Jun1(1.Academic Institution of Financial Mathematics , Engineering,Beijing Jiaotong University,Beijing 100044,China,2.Postdoctor Working Station of School of Management,Dalian University of Technology,Dalian 116024,China) |
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| Abstract: | Under the assumption that there exists interest spreads between deposit and loan in financial market,this paper considers the maximization problem of consumption utility of a investor in his expected lifetime.Using Bellman dynamic programming principle and nonlinear programming principle,the paper derives the computation formula of optimal consumption and portfolio under different conditions and corresponding value of the expected maximum consumption utility,and explains its economic meaning.Furthermore,it ... |
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| Keywords: | interest spreads of deposit and loan Bellman dynamic programming principle nonlinear programming optimal consumption and portfolio strategies |
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